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The Impact Of Financial Crises On The Short-Term Interaction Between Balkan Stock Markets

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  • Angelovska, Julijana

    (University of Tourism and Management in Skopje, Republic of Macedonia)

Abstract

The aim of this study is to examine the impact of financial crises on the short-term interaction between stock market returns of the Macedonian, Serbian and Croatian equity markets. Daily data sample spans from January 4th 2006 to March 31st 2017and based on detected Zivot-Andrews structural break point tests three subsamples are created: Subsample 1- January 4th 2006 to December 31th 2007, the period characterized as period of growth on the three Balkan stock markets, Subsample 2 - January 1st2008 to June 30th 2011, turbulent period for the stock markets and Subsample3 – July 1st2011 to March 31st 2017, after crisis period. Using simple Correlation and Granger-causality tests it is found that three stock markets interacted mostly in the crisis period. A bi-directional pattern of causality is detected for all pairs, except for the relation Macedonia-Serbia. Via variance decomposition and impulse response functions the extent of the interaction within Subsample 2 is analyzed and as a most influential stock market that transmits the changes on the others is the Croatian stock market. From a perspective of Macedonian and Serbian investors, this means that they can benefit following the movement of the Croatian stock market.

Suggested Citation

  • Angelovska, Julijana, 2017. "The Impact Of Financial Crises On The Short-Term Interaction Between Balkan Stock Markets," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 8(2), pages 53-66.
    • Handle: RePEc:ris:utmsje:0198
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    Cited by:

    1. Sulejmani Artan & Tevdovski Dragan, 2022. "How the Contagion is Transmitted to the Macedonian Stock Market? an Analysis of Co-Exceedances," South East European Journal of Economics and Business, Sciendo, vol. 17(1), pages 1-13, June.

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    More about this item

    Keywords

    Dynamic Relationship; Granger Causality; Croatia; Serbia; Macedonia;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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